English, Article, Journal or magazine article edition: State Debt Policy and Bonds Market Behaviour Barinov Vitaly; Pervozvanskaya Tatyana; Pervozvansky Anatoly

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Bookmark: http://trove.nla.gov.au/version/161546
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • State Debt Policy and Bonds Market Behaviour
Author
  • Barinov Vitaly
  • Pervozvanskaya Tatyana
  • Pervozvansky Anatoly
Physical Description
  • preprint
Notes
  • The authors examine the main factors determining state bond market yield dynamics and estimate the statistical characteristics of short-term transactions. Analysis of return time-series has shown that there exists an essential autocorrelation. Various forecasting schemes are tested, and predictors based on non-Gaussian distributions proved to be most effective. The decision algorithms have included a solution to the modified optimal portfolio problem, where the forecasts were used as expected returns and the covariance matrix was estimated via the forecasting errors. The authors show that these decision rules could effectively be applied in the Russian state bond market
  • state debt; short-term state bonds; portfolio theory; returnforecasting; decision rules; risk premia; performance evaluation
  • RePEc:eer:wpalle:99-05e
Language
  • English
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